具有两个内部交易者的内部交易模型的混合策略均衡

发布时间：2018-04-04 02:39

本文选题：市场微观结构　切入点：内部交易者　出处：《应用数学学报》2014年03期

【摘要】：本文克服了Gong和Liu(2012)在模型设定上的缺陷,重新研究了市场上存在两个拥有相同私有信息内部交易者的情况.根据内部交易者对待风险的态度不同,研究了风险喜好型、风险中性型以及风险厌恶型内部交易者模型,用正确的方法分别证明了这三个模型混合策略均衡的存在性和唯一性.在此基础上,利用渐近分析方法对高频交易情况下三类内部交易者混合策略均衡的渐近行为进行了分析和讨论,不仅计算了经济金融变量序列趋于零或无穷的速度,而且获得了这些经济金融变量序列除以相应收敛速度后所得的规范化变量序列的极限.因此,不仅获取了高频交易情况下这些变量准确的渐近行为特征及非平凡连续解,而且还发现了风险中性型内部交易者模型不同于类似Kyle型模型的渐近行为.
[Abstract]:This paper overcomes the defects of Gong and Liuyang2012) in model setting, and restudies the existence of two internal traders with the same private information in the market.According to the different attitudes of internal traders towards risk, this paper studies the internal traders' models of risk preference, risk neutrality and risk aversion, and proves the existence and uniqueness of the mixed strategy equilibrium of these three models by correct methods.On this basis, the asymptotic behavior of the equilibrium of three kinds of internal traders' mixed strategies in the case of high frequency trading is analyzed and discussed by using the asymptotic analysis method, and not only the speed of the sequence of economic and financial variables approaching to zero or infinity is calculated.Furthermore, the limit of the normalized variable sequence obtained by dividing the sequence of economic and financial variables by the corresponding convergence rate is obtained.Therefore, not only the exact asymptotic behavior characteristics and distrivial continuous solutions of these variables are obtained in the case of high frequency trading, but also the asymptotic behavior of the risk-neutral internal trader model is different from that of the Kyle type model.
【作者单位】：中国科学院数学与系统科学研究院;北京科技大学数理学院;长沙理工大学数学与计算科学学院;
【基金】：国家973项目(2006CB805900) 国家自然科学基金(10721101)资助项目中科院国家数学与交叉科学研究中心中科院随机复杂结构与数据科学重点实验室的部分资助
【分类号】：F832.5

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